Eficiencia del Mercado Accionario Chileno: Un Enfoque Dinámico usando Tests de Volatilidad

Chilean Stock Market Efficiency: A Dynamic Approach using Volatility Tests

Andrés Acuña () and Cristián Pinto

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we analyze the Chilean Stock Market's efficiency level. The efficiency concept, relates financial asset prices, the outcome from investment decisions, with all the information available to economic agents in their rational economic decision making process. To corroborate the stock market efficiency we used a theorical model for financial asset pricing, which consists in a partial equilibrium model with an optimal solution that determines intertemporal consumption decisions. We analyze the observed and expected Chilean shares's volatility under an efficient stock market framework, in order to determine the presence of speculative bubbles and discount rate variability. In our analysis we used monthly data for the Chilean Stock Market prices from 1987 to 2007.

Keywords: efficiency; stock market; asset pricing; CAPM (search for similar items in EconPapers)
JEL-codes: D53 G14 (search for similar items in EconPapers)
Date: 2007-11
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:7387

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